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The role of the real sector in the derivatives market and the exchange rate in Colombia

Abstract

The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate

The adoption of a managed regime assumes that interventions are relatively successful. However, while some authors consider that foreign exchange interventions are ineffective, arguing that domestic and foreign assets are close substitutes, others advocate their use and maintain that their...

The Impact of Different Types of Foreign Exchange Intervention: An Event Study Approach

To date, there is still great controversy as to which exchange rate model should be used or which monetary channel should be considered, when measuring the effects of monetary policy. Since most of the literature relies on structural models to address identification problems, the validity of...

The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru

This paper analyses the effects of sterilised, intraday foreign exchange market operations (non-discretionary and discretionary) on foreign exchange returns and volatility in four inflation targeting economies in Latin America. The distribution of exchange rates during intervention and non-...

The Effects of Foreign Exchange Intervention: Evidence from a Rule-Based Policy in Colombia

Abstract: We investigate the effectiveness of foreign exchange interventions using the Colombian experience as a case study. Recent theoretical work emphasizes the importance of financial sector balance sheets and capital flows in determining the effects of currency...

The Colombian Economy in the Nineties: Capital Flows and Foreign Exchange Regimes

The Case for Macro Risk Budgeting and Portfolio Tranching in Reserves Management

Testing the Short-And-Long-Run Exchange Rate Effects on Trade Balance: The Case of Colombia

This paper examines the role of exchange rates in determining the short-and-long-run trade balance behavior for Colombia. Conventional wisdom says that a nominal devaluation improves the trade balance. This conjecture is rooted in the Bickerdike- Robinson-Metzler (BRM) and Marshall-Lerner (ML)...

Systemic Risk, Aggregate Demand, and Commodity Prices

The paper presents a global model for analysis and projections. The model features a handful of elements that make it suitable for analyzing three broad sets of topics; first, systemic risk and its transmission to country risk premiums; second, the transmission from country risk premiums to...

Supplementary Material for “The Effects of Foreign Exchange Intervention: Evidence from a Rule-Based Policy in Colombia”

This Appendix provides a more detailed discussion of the technical results, including proofs of theorems reported in the main paper. For ease of reference notation and definitions are repeated from the main paper.

 

Sovereign Risk and the Real Exchange Rate: A Non-Linear Approach

We estimate a model of real exchange rate determination which is based on interest rate, term structure and purchasing power parities. This model takes into account sovereign risk as a key determinant with possibly non-linear effects. Estimations are performed for five Latin-American economies:...

Simultaneous Monetary Policies in the Context of the Trilemma: Evidence from the Central Bank of Turkey

Many central banks that have opted for monetary autonomy have also been reluctant to relinquish control over the value of their currencies. As a result, they have operated through both interest rate and foreign exchange interventions.  However, in the context of the monetary trilemma, both...

Risk, Aggregate Demand, and Commodity Prices: An Application to Colombia

We embed a small open economy model for Colombia into the global risk model of Gómez-Pineda, Guillaume, and Tanyeri (2014). The small open economy model is estimated by Bayesian methods and used for analysis and projections. The model enable us to give a consistent treatment of shocks to global...

Risk Premium Shocks, Monetary Policy and Exchange Rate Pass-Through in the Czech Republic, Hungary and Poland

This paper investigates the role of monetary policy in a small open economy, where exchange rate shocks are important. VAR models are estimated for the Czech Republic, Hungary and Poland. Contemporaneous and sign restrictions are imposed in order to identify the effect of monetary policy and...

Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate

This paper provides evidence of long run purchasing power parity by performing a recently developed method to test for unit roots in the presence of structural breaks. Data consist of real exchange rate series for 20 countries including developed and developing economies. Structural breaks are...

Pension Fund Managers Behavior In The Foreign Exchange Market

The effects of the Pension Fund Managers (PFMs) behavior on the foreign exchange market may be important, given the increasing size of their portfolio and their possible market power. Some authors argue that when big investors like PFMs trade large volumes in the foreign exchange market, they...

Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach

Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and households. This is an apparently easy and intuitive task, but it faces high complexity and uncertainty. This paper examines the nature of the pass-through and quantifies...

On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru

Together with a set of not commonly reported ones, the most widely known stylized facts of high frequency Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico, and Peru with respect to the US Dollar are studied and interpreted to the light of recent literature in this paper.

Monetary Policy and the Exchange Rate in Colombia

The role of the exchange rate and the exchange rate regime in the monetary policy decision-making process in Colombia is described. The rationale for the intervention of the Central Bank in the FX market is explained and the experience in this regard is reviewed. Special attention is given to...

Monetary Neutrality in the Colombian Real Exchange Rate

Monetary neutrality in the colombian Monetary neutrality in the Colombian real exchange rate


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This content has been translated into English for informational purposes. Upon any query regarding its interpretation or enforceability, the Spanish version shall be deemed official, and will prevail over the English version. The authors of specific texts such as working papers or articles select the language of publication; therefore, there might be cases in which the content may only be available in English.